An Investigation of the Value Premium in the UK Stock Market 1988-2002: Some New Evidence

45 Pages Posted: 25 May 2004  

Panagiotis Andrikopoulos

University of Coventry

Arief Daynes

University of Portsmouth - Business School

Date Written: May 2004

Abstract

The value premium in the UK stock market for the period 1988-2002 is investigated using a new, survivorship-bias-free, look-ahead-bias-free database, SFD Capital UK Fully Listed. A series of classification and regression tests are carried out, following a similar methodology to Lakonishok, Shleifer & Vishny, 1994. The main findings are (1) an economically significant value premium exists, although smaller than that reported in previous UK studies, (2) value is less risky than growth, using the standard risk measures beta and standard deviation, and (3) a powerful small firm effect persists in the UK market during 1988 to 2002.

Keywords: Value Premium, Contrarian Investments, Behavioural Finance, SFD Capital UK Fully Listed

JEL Classification: G11, G12, G14

Suggested Citation

Andrikopoulos, Panagiotis and Daynes, Arief, An Investigation of the Value Premium in the UK Stock Market 1988-2002: Some New Evidence (May 2004). Available at SSRN: https://ssrn.com/abstract=549865 or http://dx.doi.org/10.2139/ssrn.549865

Panagiotis Andrikopoulos

University of Coventry ( email )

Priory Street
Coventry, CV1 5FB
United Kingdom
+44(0)247 765 7920 (Phone)

Arief Daynes (Contact Author)

University of Portsmouth - Business School ( email )

Portsmouth, PO1 3DE
United Kingdom
+44 23 92844182 (Phone)
+44 23 92844037 (Fax)

HOME PAGE: http://www.port.ac.uk/departments/academic/ams/staff/title,1246,en.html

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